Eu encontrei a resposta:
Spaces in file paths can be used by using two sets of quotes,
one set for CMD.EXE and one for SchTasks.exe.
The outer quotes for CMD need to be double quotes;
the inner quotes can be single quotes or escaped double quotes.
i.e. deveria ser assim:
schtasks /create /tn "MySQL Automatic Backup"
/tr "\"d:\path with spaces to my script\my script.bat\"" /sc daily ...